Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0944
Annualized Std Dev 0.2406
Annualized Sharpe (Rf=0%) 0.3923

Row

Daily Return Statistics

Close
Observations 3579.0000
NAs 1.0000
Minimum -0.1293
Quartile 1 -0.0063
Median 0.0010
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0078
Maximum 0.1291
SE Mean 0.0003
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0010
Variance 0.0002
Stdev 0.0152
Skewness -0.3021
Kurtosis 7.3132

Downside Risk

Close
Semi Deviation 0.0111
Gain Deviation 0.0103
Loss Deviation 0.0117
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.5900
Historical VaR (95%) -0.0238
Historical ES (95%) -0.0364
Modified VaR (95%) -0.0235
Modified ES (95%) -0.0430
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-06 2012-03-26 -0.5900 1195 438 757
2018-09-28 2020-03-18 2020-08-05 -0.5211 457 362 95
2015-08-06 2016-02-08 2017-11-21 -0.2514 571 128 443
2020-10-16 2020-10-30 2020-11-19 -0.1438 25 11 14
2014-09-03 2014-10-13 2014-11-28 -0.1405 62 29 33

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA -1.3 -1.1 -0.6 -3
2007 0.8 -0.4 0.2 0.2 0.5 -0.8 -0.4 0.3 0.7 -2.9 1.1 -0.4 -1.3
2008 1.9 -2.2 3.6 2.6 -0.6 0.2 -1.4 -0.8 4.9 5.6 -8.1 3.4 8.6
2009 -3.2 0.3 -0.2 -1.1 4.6 0.8 0.1 -2 -2.5 -2.7 1.4 -0.8 -5.2
2010 1.9 1.8 0.1 -3 -3 -0.3 0.4 3.4 0.5 -0.2 1.6 -0.4 2.7
2011 1.9 -1.9 0.4 0.1 -0.8 1.7 -0.4 -1.8 -2.1 -2.5 0.6 0.1 -4.7
2012 1.5 0.5 0.2 1.8 -3.2 2.6 -0.4 -0.3 0.8 2 -0.3 2.1 7.5
2013 0.7 -0.6 -1.1 -0.2 0.3 1.2 1.8 -0.8 1.2 -0.4 0.3 0.1 2.5
2014 0.2 -0.3 2.5 0.8 -0.4 1.4 0.2 -0.1 -2.4 1.6 -2.1 -0.5 0.7
2015 -3.2 -0.5 -0.8 1.7 0.5 0.7 0.4 -2.5 0.4 0 1.1 -1 -3.3
2016 0.6 2.5 -0.1 -0.9 0.3 0.6 -0.2 0.3 0.7 -0.9 -1 -1.1 0.7
2017 -0.8 1.1 0.3 -0.1 0 0.6 0.1 0.7 -0.2 -0.1 -0.2 -0.7 0.6
2018 0.1 -2.3 1.8 -1 0.8 0.1 -0.7 0.9 -1.2 1.3 -0.4 0.5 -0.4
2019 0.3 0.4 0.4 -1 -0.7 0.6 -1.3 -1.4 -0.6 0.9 0.6 -0.6 -2.4
2020 -0.8 -4 -3.4 -2 2.8 3.2 0.6 3.6 2.8 -4 0.3 -1.3 -2.7
2021 1.9 5.5 2.1 NA NA NA NA NA NA NA NA NA 9.7

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart